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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.6784	25.73***
γ leverage Additional response to negative shocks	0.1726	10.36***
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.92*
λ₂ forecast adj. Forecast performance sensitivity	0.1462	2.56**
λ₃ tau persistence Long-term factor persistence	0.7437	6.30***

V-Lab

Defiance Daily Target 2X ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Defiance Daily Target 2X ETF Analyses